Testing parameter constancy in models with infinite variance errors

被引：2
|
作者：
Chen, MY [1 ]
Kuan, CM
机构：
[1] Natl Chung Cheng Univ, Dept Econ, Chiayi 621, Taiwan
[2] Acad Sinica, Inst Econ, Taipei 115, Taiwan
来源：
ECONOMICS LETTERS | 2001年 / 72卷 / 01期
关键词：
least absolute deviation estimates; moving estimates; parameter constancy; recursive estimates; stable law;
D O I：
10.1016/S0165-1765(01)00413-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we propose to base parameter-constancy tests on recursive and moving least absolute deviation (LAD) estimates. Our simulations show that the moving-LAD-estimates test is robust to stable errors and has power advantages comparing to the tests based on the OLS estimates. (C) 2001 Elsevier Science B.V. All rights reserved.
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页码：11 / 18
页数：8
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